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This paper describes the use of CAPM and APT models in stock exchange analysis. The comparative study of the models reveals their advantages and disadvantages. The authors present the mathematical base of the models, the dataset used for the practical approach and validate the conclusions in an elegant manner. [ABSTRACT FROM AUTHOR]

There were countless empirical studies conducted through the years in order to test the validity of Capital Asset Pricing Model on the multiple financial markets all over the globe. Nevertheless, very few targeted the case of Romania, therefore the goal of the present article is exactly to test the model on this specified market. The data used is composed from montly rentabilities of 60 companies, listed on the Bucharest Stock Exchange, using a 6-year period, from 01.01.2005 to 31.12.2010. All the classical assumptions of CAPM were tested: the intercept being statistically insignificant along with the slope being positive and statistically significant, the linearity between portfolios' rentabilities and their β coefficients and the ability of other variables besides β (like the residual variance), to have an influence on the above rentabilities. The obtained results confirm the initial assumptions only in small part and only on certain periods of time, and hence we can conclude that CAPM model can't be considered as valid for the romanian stock exchange case, in the analyzed period of time. [ABSTRACT FROM AUTHOR]

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Copyright of Metalurgia is the property of Fundatia Metalurgia Romana and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)